NATIXIS_REGISTRATION_DOCUMENT_2017

RISKS AND CAPITAL ADEQUACY Credit and counterparty risks

The internal rating mechanism is based on: internal rating methodologies specific to the various Basel a asset classes and consistent with Natixis’ risk profile; there is a unique rating procedure and methodology for each asset class; an IT system used for managing the successive stages of the a rating process, from the initiation of the process to the approval and logging of the complete process; procedures and controls that place internal ratings at the heart a of the risk-management system, from transaction origination to ex post analysis of defaulting counterparties and the losses incurred on the relevant loans; periodic reviews of rating methodologies, the method for a calculating the LGD and the underlying risk parameters. With respect to country risk, the system is based on sovereign ratings and the establishment of a rating for each country that is the highest possible rating that can be given to non-sovereign

counterparties. These ratings are reviewed annually or more often if necessary. Since September 30, 2010, Natixis has used internal rating methods specific to the different asset classes approved by the Autorité de Contrôle Prudentiel et de Résolution (ACPR — French Prudential Supervisory Authority), and that use the advanced internal ratings-based method (A-IRB) to rate “corporate”, “sovereign”, “bank”, “Specialized Financing institutions” and some categories of consumer finance exposures. Ratings are established based on two approaches, namely statistical approaches and expert appraisals. The rating scale varies according to the type of counterparty and includes 21 notches for major corporations, banks and Specialized Financing institutions. It should be noted that internal ratings are also one of the criteria used to determine the level of authority required to approve credit applications.

3

INDICATIVE CORRESPONDENCES BETWEEN INTERNAL RATINGS BASED ON EXPERT APPRAISAL AND EXTERNAL AGENCY R RATINGS (CORPORATES, BANKS, SPECIALIZED FINANCING INSTITUTIONS) (EDTF 15)

S&P/Fitch equivalent

Moody’s equivalent

Internal rating

1-year PD 0.03% 0.03% 0.03% 0.03% 0.03% 0.04% 0.09% 0.18% 0.33% 0.55% 0.88% 1.34% 1.97% 2.82% 3.93% 5.36% 7.17% 9.42% 12.20% 15.57% 19.63%

AAA AA+

AAA AA+

Aaa Aa1 Aa2 Aa3

AA

AA

AA-

AA-

A+

A+

A1 A2 A3

A

A

A-

A-

BBB+ BBB BBB-

BBB+ BBB BBB-

Baa1 Baa2 Baa3

BB+

BB+

Ba1 Ba2 Ba3

BB

BB

BB-

BB-

B+

B+

B1 B2 B3

B

B

B-

B-

CCC+ CCC CCC-

CCC+ CCC CCC-

Caa1 Caa2 Caa3

CC

CC

Ca

C

C

C

External rating system For outstandings measured using the standardized approach, Natixis uses external rating systems of the agencies Fitch Ratings, Standard & Poor's and Moody's. The reconciliation of the external rating agencies' alphanumeric credit rating scales and the risk weighting coefficients is performed in accordance with the note published by the ACPR

Method for calculating prudential ratios within the CRD IV (Capital Requirements Directive IV). When a bank portfolio exposure does not have directly applicable external credit rating, the Bank's customer standards allow - on a case-by-case basis and after analysis - the application of a rating based partially on an internal exposure rating of the issuer (or of the guarantor, if applicable).

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Natixis Registration Document 2017